Was there not a manual in the box? The sticker you are referring to is the sticker that covers the traveler screw.
It’s extremely unlikely the unit was shipped with a blown fuse, as they are QC’d before shipping. It sounds as if your electrician wasn’t too familiar with smart switch installation and may have installed improperly.
Depending on the installation topology setting, the relay many not be used, so you may not hear a click. If sounds as if you’re using the dimmer mode, so I woudn’t expect to hear a relay click.